Dual optimization problem on defaultable claims

DOI10.1515/MEL-2013-0002zbMath1303.91185OpenAlexW588741037MaRDI QIDQ486473

Armand Ngoupeyou, Stéphane Goutte

Publication date: 15 January 2015

Published in: Mathematical Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mel-2013-0002

zbMATH Keywords

utility functionHamilton-Jacobi-Bellmanbondindifference pricedefault and credit risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

This page was built for publication: Dual optimization problem on defaultable claims